Spectral risk measures and portfolio selection

Alexandre Adam; Mohamed Houkari; Jean-Paul Laurent

doi:10.1016/j.jbankfin.2007.12.032

Journal Articles Journal of Banking and Finance Year : 2008

Spectral risk measures and portfolio selection

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1
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Alexandre Adam

Function : Author

BNP Paribas

Mohamed Houkari

Function : Author

BNP Paribas

Institut de Science Financière et d'Assurances

Jean-Paul Laurent

Function : Author
PersonId : 754722
IdHAL : jean-paul-laurent
ORCID : 0000-0001-9463-7464

Institut de Science Financière et d'Assurances

Domains

Computational Finance [q-fin.CP] Portfolio Management [q-fin.PM] Risk Management [q-fin.RM]

Jean-Paul LAURENT : Connect in order to contact the contributor

https://hal-paris1.archives-ouvertes.fr/hal-03676385

Submitted on : Monday, May 23, 2022-10:03:03 PM

Last modification on : Tuesday, May 24, 2022-3:03:27 AM

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hal-03676385 , version 1 (23-05-2022)

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HAL Id : hal-03676385 , version 1
DOI : 10.1016/j.jbankfin.2007.12.032

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Alexandre Adam, Mohamed Houkari, Jean-Paul Laurent. Spectral risk measures and portfolio selection. Journal of Banking and Finance, 2008, 32 (9), pp.1870-1882. ⟨10.1016/j.jbankfin.2007.12.032⟩. ⟨hal-03676385⟩

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